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1 – 10 of over 38000Vanita Tripathi and Amanpreet Kaur
The study aims to contribute towards the sustainable development of financial systems, by testing the performance of socially responsible investing alternatives in emerging BRICS…
Abstract
Purpose
The study aims to contribute towards the sustainable development of financial systems, by testing the performance of socially responsible investing alternatives in emerging BRICS countries. The study outcomes give us an insight into viability of responsible financial decisions in contrast with the conventional style of investing.
Design/methodology/approach
The authors examine the performance of socially responsible indices of BRICS nations vis-à-vis respective conventional market indices using various risk-adjusted measures and conditional volatility measures. We further segregate the 12-year study period to crisis and non-crisis period particular to the respective country, as well as a common global financial crisis period to analyze the impact of market conditions in BRICS nations and observe the performance using dummy regression analysis. Conditional volatility of the stochastic index series is measured using ARCH-GARCH analysis. Fama Decomposition Model helps rank the index performance through the sub-periods.
Findings
Fama Decomposition Model helps us observe that while Brazil secures a position in top rankers consistently, it is India that ranks top during crisis period. With evidence of outperformance in terms of risk-return by SRI indices of BRICS countries through the overall period as well as through different market conditions, our study contributes to the positive literature on socially responsible investing.
Research limitations/implications
The study explores performance of SRI in BRICS and finds evidence of the sustainable investment to be non-penalizing to the investor, even as the performance trend remain distinct in the countries with same level of development. It has implications for the investors and asset managers to include responsible stocks, while for the companies and regulatory bodies to unite for better reporting and disclosures. Given the broad implications, future research is required to link the impact of various cultural, legislative and demographic factors on the level and performance of the socially responsible investment in BRICS nations.
Practical implications
The current study evaluating and comparing performances of the socially responsible investments in BRICS nations puts forth following implications for the different sectors of the society, especially in emerging countries: (1) BRICS organization – The association of five economic giants, having significant influence over global as well as regional affairs, can aim to orient the countries' efforts towards collective sustainable development by designing uniform SRI framework. (2) Investors – In the globalization era, the investor can gain from ethical cross border investments to diversification and country benefits. (3) Companies and regulatory bodies – Only voluntary or mandatory unified efforts, to provide accurate and consistent disclosures, can upscale the mediocre growth trends of sustainable investing in emerging economies. (4) Asset Managers – Call of greater role in educating, warding off inhibitions related to RI.
Originality/value
This is to certify that the research paper submitted by us is an outcome of our independent and original work. We have duly acknowledged all the sources from which the ideas and extracts have been taken. The project is free from any plagiarism and has not been submitted elsewhere for publication.
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This study aims to investigate the volatility of conventional and Islamic indices and to explore the impact of the global financial crisis toward the volatility of both markets in…
Abstract
Purpose
This study aims to investigate the volatility of conventional and Islamic indices and to explore the impact of the global financial crisis toward the volatility of both markets in Malaysia.
Design/methodology/approach
The data consist of financial times stock exchange group (FTSE) Bursa Malaysia Kuala Lumpur Composite Index and FTSE Bursa Malaysia Hijrah-Shari‘ah Index covering the period January 2008-October 2014. Generalized autoregressive conditional heteroskedasticity is used to find the volatility of the two markets and an ordinary least square model is then used to investigate the impact of the crisis toward the volatility of those markets.
Findings
Interestingly, the result shows that Islamic index is less volatile during the crisis compared to the conventional index. Furthermore, the crisis is proven to significantly affect the volatility of conventional index in the short run and Islamic index in the long run.
Originality/value
This study explores the volatility–financial crisis nexus, especially for the Islamic financial markets, which to the best of the author’s knowledge, is still lacking empirical research which may improve the understanding upon this issue.
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Slah Bahloul, Mourad Mroua, Nader Naifar and nader naifar
This paper aims to investigate whether Islamic indexes, Bitcoin and gold still act as hedges or/and “safe-haven” assets during the COVID-19 pandemic crisis. This paper examines…
Abstract
Purpose
This paper aims to investigate whether Islamic indexes, Bitcoin and gold still act as hedges or/and “safe-haven” assets during the COVID-19 pandemic crisis. This paper examines the role of the Morgan Stanley Capital International all-country world index, Islamic index, gold and Bitcoin as a hedge or safe-haven asset for the world conventional stock market over the period from April 30, 2015 to March 27, 2020.
Design/methodology/approach
In this paper, the authors re-evaluate the hedge and safe haven properties of Islamic indexes, gold and Bitcoin following Baur and Lucey’s (2010) and Baur and McDermott’s (2010) methodology.
Findings
Empirical results show that the Islamic index is not a hedge or a safe haven asset for the world conventional stock market during the recent coronavirus crisis period. Different from the whole period, the authors find that gold is a strong hedge but only a weak safe or is not a safe haven during the coronavirus sub-period. Bitcoin reports distinctive properties, as it acts as a weak hedge and not a safe-haven asset.
Originality/value
This paper is the first study that investigates whether the global Islamic index still acts as hedges or “safe-haven” assets during the new COVID-19 crisis period. The results can help investors make informed decisions when adding cryptocurrencies and Islamic indexes to their portfolios during the coronavirus crisis.
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Slah Bahloul and Fatma Mathlouthi
The objective of this paper is twofold. First, to study the safe-haven characteristic of the Islamic stock indexes and Ṣukūk during the crises time. Second, to evaluate this…
Abstract
Purpose
The objective of this paper is twofold. First, to study the safe-haven characteristic of the Islamic stock indexes and Ṣukūk during the crises time. Second, to evaluate this property in the last pandemic. This study employs the daily dataset from June 15, 2015, to June 15, 2020, for the most affected countries by the earlier disease.
Design/methodology/approach
This study uses the Markov-switching Capital Asset Pricing Model (CAPM) approach and the basic CAPM for the main analysis and the safe haven index (SHI) recently developed by Baur and Dimpfl (2021) for the robustness test.
Findings
Based on Baur and Lucey's (2010) definition, empirical findings indicate that Islamic stock indexes cannot be a refuge throughout the crisis regime for all selected conventional markets. However, Ṣukūk are a strong refuge in Brazilian, Russian and Malaysian markets. For the remainder countries, except Italy, the USA and Spain, the Ṣukūk index offers weak protection against serious conventional market downturns. Similar conclusions are obtained during the COVID-19 global crisis period. Finally, results are confirmed by using the SHI.
Originality/value
To the best of the authors’ knowledge, this paper is the first study that evaluates the safe haven effectiveness of the Islamic index and Ṣukūk using the SHI in the most impacted countries by the COVID-19 outbreak.
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This study aims to quantify the cost of rebalancing Sharīʿah-compliant indexes, both economically and statistically.
Abstract
Purpose
This study aims to quantify the cost of rebalancing Sharīʿah-compliant indexes, both economically and statistically.
Design/methodology/approach
An empirical approach is employed where the rebalanced Sharīʿah-compliant index is calculated numerous times with different lags in rebalancing, and the number of stocks and their cost across time are determined in order to identify the optimal rebalancing frequency.
Findings
This paper finds that annual Sharīʿah rebalancing does not lead to significant differences in portfolio returns, even though it does bring some advantages in cumulative wealth starting from the third year onwards and brings about better risk-return characteristics measured in terms of the Sharpe ratio. However, these advantages involve an average annual shifting between 30 and 60% of the portfolio market capitalization, which would be costly at any level of transaction costs.
Practical implications
A private investor may be better off holding a constant portfolio and only rebalancing in three-year intervals since this was shown to possess similar portfolio returns and cumulative wealth results. Any advantages of annual rebalancing in terms of risk-return characteristics may be offset by transaction costs of rebalancing. Sharīʿah scholars and practitioners are to determine when the correct time for rebalancing really is, taking into consideration the cost of rebalancing vis-à-vis the advantages in cumulative wealth and risk-return characteristics of the portfolio.
Originality/value
Predictions that Islamic indexes will perform well during financial crises, such as the COVID-19 pandemic, miss the cost of frequent rebalancing. This paper addresses this issue in an empirical manner learning from the previous crisis in 2008.
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This study aims to investigate the day-of-the-week (DoW) effect in globally listed private equity (LPE) markets using daily data covering the period 2004–2021.
Abstract
Purpose
This study aims to investigate the day-of-the-week (DoW) effect in globally listed private equity (LPE) markets using daily data covering the period 2004–2021.
Design/methodology/approach
To investigate the existence of the DoW effect in globally LPE markets, ordinary least squares regression, generalised autoregressive conditional heteroscedasticity (GARCH) regression and robust regressions are used. In addition, robustness audits are conducted by subdividing the sampling period into two sub-periods: pre-financial and post-financial crisis.
Findings
Limited statistically significant evidence is found for the DoW effect. By taking time-varying volatility into account, a statistically significant DoW effect can be observed, indicating that the DoW effect is driven by time-varying volatility. Economic significance is captured through visual inspection of average daily returns, which illustrate that Monday returns are lower than the other weekdays.
Practical implications
The results have important implications on whether to adopt a DoW strategy for investors in LPE. The findings show that higher returns on selected days of the week for certain indices are possible.
Originality/value
To the best of the author’s knowledge, this paper provides the first study to examine the DoW effect for globally LPE markets by using LPX indices and contributes valuable insights on this growing asset class.
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This paper aims to investigate how the global financial crisis affects the relationship between uncertainty avoidance culture and corporate cash holdings.
Abstract
Purpose
This paper aims to investigate how the global financial crisis affects the relationship between uncertainty avoidance culture and corporate cash holdings.
Design/methodology/approach
This study develops a research model in which cash holdings ratio is a function of post-crisis period dummy, Hofstede’s cultural dimension of uncertainty avoidance, their interactive term and control variables. The research sample includes 188,264 observations from 26,509 firms incorporated in 44 countries between 2003 and 2016.
Findings
This study finds that the effect of uncertainty avoidance culture on firm cash holdings is stronger in the post-crisis period from 2008 to 2016. This effect is stronger for financially constrained firms. In addition, the research findings show that uncertainty avoidance culture is more effective in cash–cash flow sensitivity over the post-crisis period.
Originality/value
Prior studies show that uncertainty avoidance culture positively affects corporate cash reserves. However, the authors only examine the effect of uncertainty avoidance culture on cash holdings in a static environment. This paper investigates this effect under the impact of the global financial crisis – an exogenous shock.
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Daniel Vogler, Mario Schranz and Mark Eisenegger
The concept of media reputation is a well-documented field in communication research. However, it often remains unclear how the process of reputation formation takes place…
Abstract
Purpose
The concept of media reputation is a well-documented field in communication research. However, it often remains unclear how the process of reputation formation takes place exactly. The purpose of this paper is to analyze which stakeholder groups are the driving forces in the process of reputation constitution of the Swiss banking industry and how it was affected by the financial crisis in 2008.
Design/methodology/approach
Given that mass media are the main source of information about an organization in crisis for the public, media reputation serves as a valuable concept for analyzing the effects of crises on organizations. This study is therefore based on a content analysis of Swiss newspapers published between 2004 and 2010.
Findings
Data shows that the influence of political stakeholder groups on media reputation of Swiss banks is higher in times of crisis. In addition the focus in media coverage changes from economic topics in pre-crisis period to social topics in crisis period. The increased importance of political stakeholder groups and social topics in crisis lead to a more negative and less controllable media reputation.
Originality/value
This study aims at a better understanding of the impact of stakeholder groups on corporate media reputation in crises. Instead of defining reputation as a single item this approach allows a more differentiated analysis of the process of reputation constitution.
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Zachary Sheaffer, Ronit Bogler and Samuel Sarfaty
The purpose of this paper is to examine the extent to which leadership attributes, masculinity, risk taking and decision making affect perceived crisis proneness.
Abstract
Purpose
The purpose of this paper is to examine the extent to which leadership attributes, masculinity, risk taking and decision making affect perceived crisis proneness.
Design/methodology/approach
The paper draws mainly on the literature about gender, leadership and organizational crisis to explore whether masculinity predicts crisis proneness, and the extent to which leadership attributes as well as risk‐taking and decision‐making style are efficient predictors of perceived crisis preparedness (CP). Utilizing pertinent literature and concepts, the paper evaluates a database of 231 female and male managers.
Findings
As hypothesized, masculinity is positively associated, whereas transformational leadership is inversely associated with perceived crisis proneness. Both participative decision making and passive management predict higher degree of perceived crisis proneness and so does risk taking.
Research limitations/implications
More in‐depth research as well as larger and more diverse sample is required to explore more definitively why and how masculinity is positively associated with crisis proneness.
Practical implications
The paper provides preliminary evidence regarding the merits of feminine leadership traits as facilitators of CP This finding does not, however, preclude the usefulness of masculine attributes in managing actual organizational crises. The findings appear particularly relevant given the current turbulent business environments and the increasing frequency and magnitude of corporate crises.
Originality/value
The paper synthesizes evidence on CP proneness and gender, and the evidence of feminine attributes as an important antidote to perceived crisis proneness. The paper outlines reasons for this phenomenon and implications for placement of managers in current business arenas.
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